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SAN vs. ^IBEX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SAN and ^IBEX is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

SAN vs. ^IBEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Banco Santander, S.A. (SAN) and IBEX 35 Index (^IBEX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SAN:

1.82

^IBEX:

1.53

Sortino Ratio

SAN:

2.24

^IBEX:

2.14

Omega Ratio

SAN:

1.32

^IBEX:

1.32

Calmar Ratio

SAN:

1.36

^IBEX:

0.81

Martin Ratio

SAN:

7.94

^IBEX:

8.72

Ulcer Index

SAN:

7.36%

^IBEX:

3.22%

Daily Std Dev

SAN:

33.76%

^IBEX:

16.63%

Max Drawdown

SAN:

-80.30%

^IBEX:

-62.65%

Current Drawdown

SAN:

-0.25%

^IBEX:

-10.49%

Returns By Period

In the year-to-date period, SAN achieves a 76.88% return, which is significantly higher than ^IBEX's 23.09% return. Over the past 10 years, SAN has outperformed ^IBEX with an annualized return of 5.12%, while ^IBEX has yielded a comparatively lower 2.34% annualized return.


SAN

YTD

76.88%

1M

16.22%

6M

70.16%

1Y

60.92%

3Y*

43.71%

5Y*

36.23%

10Y*

5.12%

^IBEX

YTD

23.09%

1M

9.70%

6M

22.91%

1Y

25.98%

3Y*

18.28%

5Y*

16.34%

10Y*

2.34%

*Annualized

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Banco Santander, S.A.

IBEX 35 Index

Risk-Adjusted Performance

SAN vs. ^IBEX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SAN
The Risk-Adjusted Performance Rank of SAN is 9090
Overall Rank
The Sharpe Ratio Rank of SAN is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of SAN is 8989
Sortino Ratio Rank
The Omega Ratio Rank of SAN is 8989
Omega Ratio Rank
The Calmar Ratio Rank of SAN is 8888
Calmar Ratio Rank
The Martin Ratio Rank of SAN is 9292
Martin Ratio Rank

^IBEX
The Risk-Adjusted Performance Rank of ^IBEX is 9696
Overall Rank
The Sharpe Ratio Rank of ^IBEX is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of ^IBEX is 9898
Sortino Ratio Rank
The Omega Ratio Rank of ^IBEX is 9999
Omega Ratio Rank
The Calmar Ratio Rank of ^IBEX is 8888
Calmar Ratio Rank
The Martin Ratio Rank of ^IBEX is 9999
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SAN vs. ^IBEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Banco Santander, S.A. (SAN) and IBEX 35 Index (^IBEX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The current SAN Sharpe Ratio is 1.82, which is comparable to the ^IBEX Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of SAN and ^IBEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

SAN vs. ^IBEX - Drawdown Comparison

The maximum SAN drawdown since its inception was -80.30%, which is greater than ^IBEX's maximum drawdown of -62.65%. Use the drawdown chart below to compare losses from any high point for SAN and ^IBEX. For additional features, visit the drawdowns tool.


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Volatility

SAN vs. ^IBEX - Volatility Comparison

Banco Santander, S.A. (SAN) has a higher volatility of 7.76% compared to IBEX 35 Index (^IBEX) at 3.06%. This indicates that SAN's price experiences larger fluctuations and is considered to be riskier than ^IBEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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